Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets

• Autores: Arun J. Prakash, Chun-Hao Chang, Therese E. Pactwa
• Localización: Journal of banking and finance, ISSN 0378-4266, Vol. 27, Nº. 7, 2003, págs. 1375-1390
• Idioma: inglés
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• Resumen

  • Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio from Latin American, US and European capital markets. The empirical findings suggest that the incorporation of skewness into an investor's portfolio decision causes a major change in the resultant optimal portfolio. The empirical evidence indicates that investors do trade expected return of the portfolio for skewness.